optimization

Optimization is concerned with the analysis and algorithmic aspects of maximizing or minimizing an objective function subject to constraints, often in complex problems in high dimension. Active research areas in ORFE include interior-point methods, the parametric simplex method, stochastic optimization, and convex analysis. Applications of interest span from portfolio optimization to engineering applications such as optimal control, optical design, and machine learning.

Castle Lab

We deal with problems where we have to make decisions over time as new information is arriving. Most of our problems involve complex vectors of decisions (managing fleets of vehicles, allocating research dollars to projects, planning energy investments or the use of current energy resources) in the presence of different sources of uncertainty. We begin with a desire to understand how to control these systems, and then use this information to develop robust designs.

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